999 resultados para Monetary union
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1895/09 (N129).
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1895/11 (N131).
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1895/12 (N132).
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1890/11.
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1890/10.
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1890/07.
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This paper measures the connectedness in EMU sovereign market volatility between April 1999 and January 2014, in order to monitor stress transmission and to identify episodes of intensive spillovers from one country to the others. To this end, we first perform a static and dynamic analysis to measure the total volatility connectedness in the entire period (the system-wide approach) using a framework recently proposed by Diebold and Yılmaz (2014). Second, we make use of a dynamic analysis to evaluate the net directional connectedness for each country and apply panel model techniques to investigate its determinants. Finally, to gain further insights, we examine the timevarying behaviour of net pair-wise directional connectedness at different stages of the recent sovereign debt crisis.
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We analyse volatility spillovers in EMU sovereign bond markets. First, we examine the unconditional patterns during the full sample (April 1999-January 2014) using a measure recently proposed by Diebold and Yılmaz (2012). Second, we make use of a dynamic analysis to evaluate net directional volatility spillovers for each of the eleven countries under study, and to determine whether core and peripheral markets present differences. Finally, we apply a panel analysis to empirically investigate the determinants of net directional spillovers of this kind.
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1926/01 (SER1,T29,N455)-1926/06 (SER1,T29,N463).
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1915/01 (A18,SER1,T18,N322)-1915/06 (A18,SER1,T18,N327).
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1912 (A15,SER1,T15).
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1900/06 (A31,SER2,T3,N125)-1901/05 (A31,SER2,T3,N136).
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1924 (SER1,T27,N431)- (SER1,T27,N442).
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1910 (A13,SER1,T13,N264)- (A13,SER1,T13,N275).
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1898 (A29,SER2,T1)-1899.
